Article contents
Discounted Cost Markov Decision Processes with a Constraint
Published online by Cambridge University Press: 27 July 2009
Abstract
We consider a discounted cost Markov decision process with a constraint. Relating this to a vector-valued Markov decision process, we prove that there exists a constrained optimal randomized semistationary policy if there exists at least one policy satisfying a constraint. Moreover, we present an algorithm by which we can find the constrained optimal randomized semistationary policy, or we can discover that there exist no policies satisfying a given constraint.
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 12 , Issue 2 , April 1998 , pp. 177 - 187
- Copyright
- Copyright © Cambridge University Press 1998
References
- 3
- Cited by